Optimal monetary policy in a regime-switching economy: The response to abrupt shifts in exchange rate dynamics

DOI10.1016/j.jedc.2005.10.013zbMath1162.91508OpenAlexW3125328255MaRDI QIDQ959633

Fabrizio Zampolli

Publication date: 12 December 2008

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2005.10.013

zbMATH Keywords

regime switchingoptimal monetary policyuncertain probabilities

Mathematics Subject Classification ID

Macroeconomic theory (monetary models, models of taxation) (91B64) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Optimal stochastic control (93E20) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20)

Related Items (9)

Robust stability, ℋ₂ analysis and stabilisation of discrete-time Markov jump linear systems with uncertain probability matrix ⋮ Filtering \(\mathcal{S}\)-coupled algebraic Riccati equations for discrete-time Markov jump systems ⋮ Optimal policy in Markov-switching rational expectations models ⋮ Stochastic model predictive control for constrained discrete-time Markovian switching systems ⋮ Quadratic costs and second moments of jump linear systems with general Markov chain ⋮ Optimal regime switching and threshold effects ⋮ ADAPTIVE LEARNING IN REGIME-SWITCHING MODELS ⋮ A disutility-based drift control for exchange rates ⋮ Quadratic control with partial information for discrete-time jump systems with the Markov chain in a general Borel space

Uses Software

• CompEcon

Cites Work

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